Carry & the curve

The observed 21-day lag of each futures-rolling ETF behind its spot underlying — USO−WTI, UNG−NatGas, CPER−Copper, WEAT−Wheat — as a free proxy for the curve state.

How ETF 21-day return minus the spot 21-day return, in percentage points. A futures-rolling ETF lags spot in contango and outperforms in backwardation.Formula ETF 21d return − spot 21d return (pp)Source Yahoo Finance — computed

How to read Below zero = the ETF is bleeding vs spot (contango drag); above zero = backwardation lift. The present curve STATE, read off observed prices.

This is a REALIZED roll proxy, NOT the forward-curve shape — clean multi-maturity futures are paid data (EIA discontinued the free NYMEX strip in 2024), so the market curve is deferred. Never a return forecast.